Home > Economics > Financial Economics > Volume-4 > Issue-2 > Foreign Investment and its Coherent Relationship with Stock Market Returns: A Cross-Country Study

Foreign Investment and its Coherent Relationship with Stock Market Returns: A Cross-Country Study

Call for Papers

Volume-8 | Issue-3

Last date : 26-Jun-2024

Best International Journal
Open Access | Peer Reviewed | Best International Journal | Indexing & IF | 24*7 Support | Dedicated Qualified Team | Rapid Publication Process | International Editor, Reviewer Board | Attractive User Interface with Easy Navigation

Journal Type : Open Access

First Update : Within 7 Days after submittion

Submit Paper Online

For Author

Research Area


Foreign Investment and its Coherent Relationship with Stock Market Returns: A Cross-Country Study


Avik Ghosh | Suman Sourav



Avik Ghosh | Suman Sourav "Foreign Investment and its Coherent Relationship with Stock Market Returns: A Cross-Country Study" Published in International Journal of Trend in Scientific Research and Development (ijtsrd), ISSN: 2456-6470, Volume-4 | Issue-2, February 2020, pp.265-272, URL: https://www.ijtsrd.com/papers/ijtsrd29965.pdf

The research is aimed at finding relationship between two key indicators of identifying the health of any economy namely status of foreign investment and stock market returns. The stock exchange return may be indicated by both benchmark index and market cap. It has been observed that these two go hand in hand with almost perfectly positive correlation. Subsequently the relationship between FDI investment and benchmark stock exchange has been tested in the context of two economies- India and Brazil, which are predominantly having strong potential to attract considerable amount of foreign investment. Vector autoregression model (VAR) has been used to identify the relationship followed by lag order selection and identification of lag length. The bidirectional causality has been tested followed by identifying the variables as block exogenous. Impulse and variance decomposition tests have proved the importance of shock of exogenous factors onto the variables. A detailed case study has been performed for India, where Cointegration test significantly concluded strong interdependence between FDI (equity investment), ECB (debt investment) and benchmark stock index (NIFTY 500). The research has been concluded by developing a forecasting model for the benchmark index based on the values of FDI and its own values with first and second lag orders.

FDI, Benchmark Stock Index, Relationship between FDI and NIFTY, FDI and BOVESPA, VAR Model, Cointegration Test, Granger Causality Test, Block Exogeneity Test, Impulse test, Variance Decomposition


IJTSRD29965
Volume-4 | Issue-2, February 2020
265-272
IJTSRD | www.ijtsrd.com | E-ISSN 2456-6470
Copyright © 2019 by author(s) and International Journal of Trend in Scientific Research and Development Journal. This is an Open Access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0) (http://creativecommons.org/licenses/by/4.0)

International Journal of Trend in Scientific Research and Development - IJTSRD having online ISSN 2456-6470. IJTSRD is a leading Open Access, Peer-Reviewed International Journal which provides rapid publication of your research articles and aims to promote the theory and practice along with knowledge sharing between researchers, developers, engineers, students, and practitioners working in and around the world in many areas like Sciences, Technology, Innovation, Engineering, Agriculture, Management and many more and it is recommended by all Universities, review articles and short communications in all subjects. IJTSRD running an International Journal who are proving quality publication of peer reviewed and refereed international journals from diverse fields that emphasizes new research, development and their applications. IJTSRD provides an online access to exchange your research work, technical notes & surveying results among professionals throughout the world in e-journals. IJTSRD is a fastest growing and dynamic professional organization. The aim of this organization is to provide access not only to world class research resources, but through its professionals aim to bring in a significant transformation in the real of open access journals and online publishing.

Thomson Reuters
Google Scholer
Academia.edu

ResearchBib
Scribd.com
archive

PdfSR
issuu
Slideshare

WorldJournalAlerts
Twitter
Linkedin